Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0840
Annualized Std Dev 0.2449
Annualized Sharpe (Rf=0%) 0.3431

Row

Daily Return Statistics

Close
Observations 3960.0000
NAs 1.0000
Minimum -0.1483
Quartile 1 -0.0059
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0075
Maximum 0.1616
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0154
Skewness -0.2340
Kurtosis 13.7081

Downside Risk

Close
Semi Deviation 0.0112
Gain Deviation 0.0111
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.6734
Historical VaR (95%) -0.0230
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0217
Modified ES (95%) -0.0261
From Trough To Depth Length To Trough Recovery
2007-07-09 2008-11-20 2011-05-09 -0.6734 968 349 619
2018-07-20 2020-03-18 2021-02-24 -0.5925 654 418 236
2011-07-08 2011-10-03 2012-02-09 -0.2396 150 61 89
2015-03-20 2016-02-08 2016-11-17 -0.2191 422 224 198
2006-05-09 2006-08-09 2006-10-04 -0.1441 104 65 39

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA -0.7 0.5 -1.5 0.9 0.1 1.7 -0.4 0.5
2006 1.2 0.8 0.1 0 1.3 0.8 -1.2 0.6 -0.9 -0.6 -0.9 -0.4 0.7
2007 0.6 -0.4 0.1 0.2 1.1 -0.5 0.3 1.6 1.3 -2.8 0.3 -0.4 1.2
2008 2.8 -2.1 3.3 2.2 -0.3 -1.4 -0.3 -0.8 -1 3.9 -6.7 4 3.1
2009 -3.2 -1 1.3 -1.4 3.2 2 -0.4 -1.8 -2.5 -2 0.8 -0.1 -5.2
2010 1.8 1.4 0.4 -2.3 -3.3 0.4 0.2 4.3 0.7 -0.2 1.7 -0.5 4.3
2011 1.8 -2 -0.5 0.8 -2.3 2.1 0.3 -1.6 -3.3 -2.5 -0.5 -0.7 -8.3
2012 1.3 0.6 0.5 0.2 -4.1 2.5 -1.2 0.2 0.1 1.3 -0.7 2.3 2.9
2013 1.3 0.4 -0.9 -0.5 -0.2 1.7 2 -1.3 1.3 -0.3 0.1 -0.2 3.5
2014 0 0.1 2.2 0.5 -0.2 0.9 0.1 0 -2.5 0.5 -1.3 -0.1 0.1
2015 -1.9 -0.3 -1.6 1.8 0.7 -0.5 1.1 -2.1 0.2 -0.3 1.3 -1.1 -2.7
2016 1.2 1.9 0 -0.3 0.5 0.6 0.1 -0.3 0.8 -0.9 -0.1 -0.8 2.7
2017 -0.3 0.6 0.1 0 1.6 0.1 0.5 0.5 0.7 -0.3 -0.4 -0.4 2.7
2018 0.5 -1.7 0.9 0 0.8 0.1 -1.2 0.5 -1.6 1.1 0.2 1 0.5
2019 -0.7 0.9 0.7 -1 -0.8 0.4 -0.8 0.1 -1 -0.3 -0.1 0.2 -2.4
2020 -2.1 -0.8 -7.8 -4.5 2.5 1.4 -0.1 0.5 0.7 -1.3 1.9 0.6 -9.2
2021 2.1 3.8 0.4 NA NA NA NA NA NA NA NA NA 6.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-06-23  14.8 SPY    120. -0.0141  -0.0127  0.003     0.0232   0.0478    0.201   -0.182 GLD    44.0  0.0069   0.0129
2 2005-06-24  14.6 SPY    119. -0.0073  -0.0196 -0.0036    0.0142   0.0452    0.220   -0.199 GLD    43.9 -0.0027   0.0062
3 2005-06-27  14.5 SPY    119.  0.0014  -0.0185 -0.0075    0.0225   0.0502    0.219   -0.195 GLD    43.9  0.0002   0.0057
4 2005-06-28  14.6 SPY    120.  0.0084  -0.0109 -0.0008    0.0167   0.0547    0.208   -0.187 GLD    43.4 -0.0105  -0.0082
5 2005-06-29  14.6 SPY    120. -0.0027  -0.0143  0.00290   0.0159   0.0463    0.211   -0.177 GLD    43.6  0.0041  -0.0021
6 2005-06-30  14.6 SPY    119. -0.0054  -0.0057 -0.011     0.0149   0.0553    0.228   -0.174 GLD    43.4 -0.0044  -0.0132
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart